Portfolio Performance Report - 50d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (50d)	BL (50d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	94.0%	100.0%

Cumulative Return	408.02%	320.26%	539.04%	684.21%	423.54%
CAGR﹪	6.69%	5.89%	7.67%	8.55%	6.82%

Sharpe	0.42	0.4	0.48	0.51	0.44
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	99.48%	98.56%
Smart Sharpe	0.39	0.38	0.45	0.48	0.41
Sortino	0.58	0.57	0.67	0.73	0.61
Smart Sortino	0.55	0.53	0.63	0.68	0.57
Sortino/√2	0.41	0.4	0.48	0.51	0.43
Smart Sortino/√2	0.39	0.38	0.45	0.48	0.41
Omega	1.08	1.08	1.09	1.1	1.09

Max Drawdown	-59.82%	-53.78%	-55.19%	-57.61%	-58.22%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2009-03-03	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2007-10-30	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2010-08-26	2011-04-25
Longest DD Days	1453	2450	2404	1360	1436
Volatility (ann.)	20.79%	18.55%	19.53%	19.9%	19.28%
Calmar	0.11	0.11	0.14	0.15	0.12
Skew	-0.28	-0.11	-0.01	0.01	-0.33
Kurtosis	12.33	12.25	11.16	10.52	13.69

Expected Daily	0.03%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.54%	0.48%	0.62%	0.68%	0.55%
Expected Yearly	6.45%	5.68%	7.39%	8.24%	6.57%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.02%	-1.96%
Expected Shortfall (cVaR)	-3.6%	-3.6%	-3.6%	-3.6%	-3.6%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.1	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.96	0.95
Outlier Win Ratio	3.87	4.39	4.21	4.34	4.28
Outlier Loss Ratio	3.76	4.3	3.97	3.72	4.06

MTD	2.59%	2.57%	5.17%	3.31%	2.64%
3M	7.06%	10.94%	12.06%	7.33%	6.56%
6M	9.24%	14.12%	16.79%	11.09%	8.22%
YTD	0.74%	3.83%	6.85%	3.94%	0.4%
1Y	11.09%	18.42%	29.36%	5.74%	10.9%
3Y (ann.)	3.56%	6.31%	10.76%	4.32%	3.84%
5Y (ann.)	5.78%	9.1%	14.72%	5.95%	5.46%
10Y (ann.)	3.72%	9.29%	12.72%	3.45%	4.15%
All-time (ann.)	6.69%	5.89%	7.67%	8.55%	6.82%

Best Day	14.86%	11.37%	14.52%	14.98%	14.05%
Worst Day	-12.09%	-12.93%	-10.94%	-11.02%	-11.41%
Best Month	16.17%	13.95%	12.7%	20.3%	15.9%
Worst Month	-25.09%	-14.06%	-16.52%	-16.84%	-23.33%
Best Year	56.84%	26.5%	32.31%	60.19%	55.85%
Worst Year	-44.11%	-33.84%	-36.79%	-34.21%	-43.28%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.76%	-2.85%
Avg. Drawdown Days	55	46	32	62	51
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.16	0.15
Serenity Index	0.42	0.37	0.41	0.47	0.41

Avg. Up Month	5.03%	3.52%	3.74%	4.95%	4.66%
Avg. Down Month	-5.71%	-4.4%	-4.54%	-4.93%	-5.31%
Win Days	53.4%	53.12%	54.29%	53.86%	53.66%
Win Month	55.96%	60.93%	62.91%	57.04%	59.2%
Win Quarter	62.38%	65.35%	70.3%	62.0%	66.0%
Win Year	65.38%	69.23%	76.92%	65.38%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (50d)	BL (50d)
1999	23.68	22.39	19.28	38.22	13.80
2000	-13.41	-4.22	-7.41	-1.85	-12.60
2001	-8.20	-5.12	-10.11	-14.34	-8.46
2002	-9.89	-15.11	-20.83	-10.87	-7.19
2003	41.59	23.95	26.20	48.17	41.47
2004	26.02	3.69	10.78	33.38	25.89
2005	16.82	-0.08	5.25	12.46	14.37
2006	29.10	15.58	15.21	25.81	30.66
2007	19.97	7.29	6.28	22.05	19.27
2008	-47.06	-34.13	-37.36	-36.32	-46.73
2009	50.14	20.17	26.93	50.92	49.05
2010	20.58	11.76	15.63	33.66	15.52
2011	-16.31	7.59	4.53	-16.03	-12.01
2012	22.81	7.69	15.64	2.70	21.93
2013	9.37	24.03	28.62	19.92	14.46
2014	-4.15	7.84	13.27	-8.33	-3.45
2015	-10.85	-1.07	2.41	-13.41	-5.74
2016	9.23	13.38	12.18	12.27	6.86
2017	24.15	22.61	19.88	22.67	24.09
2018	-12.80	-4.20	-3.23	-9.86	-11.02
2019	17.45	20.94	27.97	11.60	17.41
2020	11.12	13.82	22.47	11.11	6.12
2021	8.83	17.94	26.11	10.47	11.96
2022	-6.52	-7.24	-17.13	5.37	-8.04
2023	14.43	13.49	24.11	1.97	14.25
2024	0.83	3.81	6.73	3.96	0.47

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (50d)

Started	Recovered	Drawdown	Days
2007-10-30	2010-08-26	-57.61	1032
2000-03-06	2003-11-25	-34.19	1360
2014-05-15	2017-11-27	-33.81	1293
2011-05-03	2014-02-27	-30.55	1032
2022-04-21	2024-02-23	-28.80	674
2018-01-29	2020-12-15	-19.66	1052
2004-04-13	2004-09-16	-18.84	157
2007-07-24	2007-09-17	-18.11	56
2006-05-10	2006-10-25	-15.30	169
2005-03-07	2005-08-10	-12.80	157

BL (50d)

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-25	-58.22	1272
2018-01-29	2021-01-04	-38.50	1072
2000-01-10	2003-12-15	-38.11	1436
2011-05-02	2013-01-24	-26.61	634
2014-07-07	2017-05-04	-25.33	1033
2022-02-17	2023-12-27	-20.99	679
2006-05-11	2006-10-19	-15.96	162
2004-02-18	2004-09-30	-13.90	226
2007-07-13	2007-09-26	-13.04	76
2013-05-09	2013-09-13	-11.46	128